1. Make the leveling system like Morrowind.
2. Uniqueness - Make each dungeon unique, on Oblivion they all just looked the same. And the landscape was quite similar except the north was covered in snow. Make unique landscapes, kind of like Morrowind, but make them bigger and better.
3. Better dialogue - Different npc's have unique dialogue. Also more topics to talk about.
4. More animation effects - throw objects like rocks or sticks so guards will look because of the sound. Maybe even being able to set buildings on fire by throwing torches onto them, or doing a certain amount of damage to them using fire spells.
5. Weapons - Bring back weapons from Morrowind, but only bring back 1 or 2 of the throwing weapons, as I think 3 types is too many. Also, include rocks, branches, cutlery and other items as weapons. They won't do much damage, but it would be fun. Rocks and branches would be a little more damage than using your fists, and knifes could be a little worse than daggers.
I have a few more ideas so will quickly list them as they are short.
Open cities (has been mentioned by most people).
Morrowind style travel, e.g. Silt Striders and Boats.
Powerful spells that require a lot of magicka and take 5-10 seconds to cast but are extremely powerful.